Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims

DOI10.1016/j.insmatheco.2015.01.006zbMath1314.91195OpenAlexW2099289209MaRDI QIDQ2347112

Lin He, Zongxia Liang

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.01.006

zbMATH Keywords

HJB equationsoptimal asset allocationDC pension plancompulsory conversion claimsoptimal benefit outgo

Mathematics Subject Classification ID

Related Items (11)

Multi-period defined contribution pension funds investment management with regime-switching and mortality risk ⋮ Optimal investment strategies and intergenerational risk sharing for target benefit pension plans ⋮ Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model ⋮ Dynamic optimal adjustment policies of hybrid pension plans ⋮ Optimal pension decision under heterogeneous health statuses and bequest motives ⋮ An optimal portfolio problem of DC pension with input-delay and jump-diffusion process ⋮ Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans ⋮ Optimal DB-PAYGO pension management towards a habitual contribution rate ⋮ Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model ⋮ Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING

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